Is this referring to the true underlying distribution, or the distribution of our sample?
In both cases, even though the available examples are not a random sample from the true underlying distribution of examples, we would like to learn a predictor from the examples that is as accurate as possible for this distribution.

&quot;The true underlying distribution&quot; is the closest &quot;distribution&quot; that is explicitly mentioned as such in the part of the text preceding the phrase &quot;this distribution&quot;, so that's what it's referring to. For clarity, I've put the two things that are &quot;the same&quot; in bold in the above quote.